Returns the downside deviation of a given data set.
Syntax
NxDWS(X,M)
 X
 is the portfolio simple rate of returns data series (a onedimensional array of cells (e.g., rows or columns)).
 M
 is the minimum acceptable return (MAR). If missing, a zero (0) value is assumed.
Status
The NxDWS function is available starting with NumXL version 1.68 CAMEL.
Remarks
 The downside deviation (DWS) is a measure of downside risk that focuses on returns that fall below a minimum threshold or minimum acceptable return (MAR).
 The DWS is an indicator used to assess the relative riskiness of one investment fund or strategy versus another.
 By definition, all values in the input data set (i.e., X) must be greater than 1.0.
 The input data series may include missing values (e.g., #N/A, #VALUE!, #NUM!, empty cell), but they will not be included in the calculations.
 The DWS is computed as follows:
$$\textrm{DWS}= \sqrt{\frac{\sum_{i=1}^{N}{G(r_i)}}{N}}$$
$$G(r_i)=\left\{\begin{matrix} (r_ir_m)^2 & r_i<r_m\\ 0 & ri \geqslant r_m \end{matrix}\right. $$
Where:
 $N$ is the number of data points with nonmissing values.
 $r_i$ is the simple return for the ith data point.
 $r_m$ is the minimum acceptable return (MAR).
Examples
Example 1:


Formula  Description (Result) 

=NxDWS(\$B\$2:\$B\$14,0.01)  DWS (0.023535) 
Files Examples
Related Links
References
 Hamilton, J .D.; Time Series Analysis, Princeton University Press (1994), ISBN 0691042896
 Tsay, Ruey S.; Analysis of Financial Time Series John Wiley & SONS. (2005), ISBN 0471690740
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